Fitch Ratings has affirmed Red & Black Consumer France's class A notes at 'AAAsf' with a Stable Outlook.

The transaction is a revolving securitisation of consumer loans originated by Sogefinancement (owned by Societe Generale; A/Stable/F1). As of end-July 2016, the portfolio comprised 409,251 loans with an average current balance of EUR8,726. The portfolio consists of personal loans (71%), debt consolidation loans (28%) and student loans (1%).

KEY RATING DRIVERS

Stable Performance to Date

The affirmation reflects the transaction's ongoing sound performance. Delinquencies are at low levels (around 1% for the one-month plus delinquency ratio since closing). The transaction also benefits from a healthy level of gross excess spread, representing approximately 5.5% for the class A notes over the past few months. Cumulative gross defaults since closing stand at 1.3% of the initial portfolio balance plus additional receivables purchased during the revolving period, in line with Fitch's base case default assumption.

Since closing in October 2013, credit enhancement for the class A notes, mainly provided by the subordination of the class B notes, has been stable at 30.0%. The transaction also benefits from a general reserve (0.75% of the outstanding balance of the class A and B notes, decreasing to 0.60% of the outstanding balance of the class A and B notes following the below amendments) aimed at covering senior fees and interest payments on the class A notes. This reserve may provide credit enhancement to the extent that while amortising along with the notes, the excess of the reserve fund will flow through the relevant priority of payments and provide additional excess spread, available to repay principal to the noteholders.

Amendments To Transaction Documentation

The following amendments were made on 13 September 2016:

- The transaction's revolving period has been extended by an additional 36 months (until October 2019).

- The reserve fund has been reduced to 0.60% of the notes balance from 0.75% of the notes balance.

- HSBC France has been replaced with Societe Generale as account bank.

- The minimum weighted average portfolio interest rate necessary for new loans to be purchased during the revolving period has been lowered to 5.0% from 5.5%.

- The class A notes margin has been reduced to 0.45% from 1.25% while the interest cap has been lowered to 0.75% from 2.00%, resulting in a maximum interest rate - including the margin on the notes - of 1.20% compared with 3.25% previously.

Servicing Continuity Risk

SG and its wholly owned subsidiary Franfinance are the effective servicers of the transaction. No back-up servicer was appointed at closing. However, servicing continuity risks are mitigated by, among other things, monthly transfer of borrower details, a specially dedicated account, a reserve fund to cover liquidity shortfalls and, below a certain rating trigger, the implementation of a commingling reserve.

Default and Recovery Stressed Assumptions

Fitch analysed obligor credit risk by forming base case default and recovery assumptions and then stressing these assumptions according to the rating of the class A notes. Based on up-to-date historical default and recovery data available per origination and default vintages respectively and taking into account the French economic outlook and the unemployment rate, the agency arrived at a rating default rate of 36.3% at 'AAAsf' and a rating recovery rate of 22.1% at 'AAAsf'.

Fitch's analysis showed that the credit support available following the amendments to the transaction documentation remains commensurate with a 'AAAsf" rating for the class A notes. Credit enhancement for the class A notes is provided by subordination of the class B notes.

RATING SENSITIVITIES

Expected impact upon the note rating of increased defaults (class A):

Original rating: 'AAAsf'

Increase base case defaults by 10%: 'AA+sf'

Increase base case defaults by 25%: 'AA+sf'

Increase base case defaults by 50%: 'AA-sf'

Expected impact upon the note rating of decreased recoveries (class A):

Original rating: 'AAAsf'

Reduce base case recovery by 10%:'AAAsf'

Reduce base case recovery by 25%: 'AA+sf'

Reduce base case recovery by 50%: 'AA+sf'

Expected impact upon the note rating of increased defaults and decreased recoveries (class A):

Original rating: 'AAAsf'

Increase default base case by 10%; reduce recovery base case by 10%: 'AA+sf'

Increase default base case by 25% and reduce recovery base case by 25%: 'AAsf'

Increase default base case 50% and reduce recovery base case by 50%: 'A+sf'